对我国期货市场波动性的分阶段实证研究

波动性是经济和金融研究的热点问题。本文首先采用无条件波动度量方法对我国三大期货市场1997年—2004年的波动性进行了估计,发现第一阶段97年—02年期货价格总体呈下跌趋势,三大市场整体波动性不大,较高的波动性都出现在期货价格下跌时期,较低的波动性都出现在期货价格上涨时期;第二阶段03年—04年三大市场波动性显著提高,总体价格呈上升趋势,较高的波动性都出现在期货价格上涨时期,而较低的波动性都出现在期货价格下跌时期;本文进一步采用条件波动模型对我国三大期货市场两个阶段收益率与波动性的相关关系及波动性的杠杆效应进行了研究,结果表明铜期货收益率与波动性显著相关,大豆期货收益率与波动性不显著相关;我国三大期货市场均存在杠杆效应,并且两个阶段波动性的杠杆效应相反,其中铜期货市场的杠杆效应更显著。

Empirical Research on Volatility in Two Different Stages of Chinese Futures Markets

Volatility is widely researched in economic and financial studies.Firstly,unconditional volatility estimation is used to measure the volatility of China's three futures markets from 1997 to 2004.It has been found that from 1997 to 2002,the prices fell down and volatilities were not too high on the whole and high volatilities were accompanied with downside markets,while low volatilities were accompanied with upside markets;whereas from 2003 to 2004,the prices rose up and volatilities increased largely on the whole and high volatilities were accompanied with upside markets,while low volatilities were accompanied with downside markets.Further,conditional volatility models are used to study the relativity of reward and volatility and leverage effect of volatility in two stages.The results show that the correlativity of copper futures' reward and volatility is evident and the correlativity of soybean futures' reward and volatility is not evident;there is leverage effect in three futures markets and the leverage effect in two stages is opposite.The leverage effect of copper futures is more evident.